Search Results - subject:"CDS"

The 2025 U.S. debt limit through the lens of financial markets

Benzoni, Luca; Wernick, Marisa - 2025 - This draft: May 27, 2025

trading activity in the U.S. sovereign CDS market, and we infer a probability of default from CDS premiums. We find that …

Persistent link: https://www.econbiz.de/10015407927

Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - In: Journal of international financial markets, … 94 (2024), pp. 1-22

Persistent link: https://www.econbiz.de/10015063189

Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances

Afonso, António; Alves, José; Monteiro, Sofia - 2024

risk, proxied by 10-year CDS and CDS spreads (against the US) making use of Weighted Least Squares (WLS) analysis …

Persistent link: https://www.econbiz.de/10014486806

Sovereign risk and stock market response to natural disasters in emerging economies

Bermúdez-Cespedes, Juan Pablo; Melo-Velandia, Luis Fernando - 2025

Persistent link: https://www.econbiz.de/10015326234

Markov switching volatility connectedness across international CDS markets

Mensi, Walid; Gemici, Eray; Polat, Müslüm; Kang, Sang Hoon - In: International review of economics & finance : IREF 98 (2025), pp. 1-17

Persistent link: https://www.econbiz.de/10015330587

The impact of global shocks on sovereign risk : role of domestic factors

Inoguchi, Masahiro - In: Economic systems 49 (2025) 2, pp. 1-16

Persistent link: https://www.econbiz.de/10015413307

Do changes in the implied volatility of stock options predict future changes in CDS spreads?

Hong, Changsoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies : … 33 (2025) 2, pp. 150-167

future changes in credit default swap (CDS) spreads in the Korean market. The major findings are as follows. First, in the … CDS portfolio analysis, when buying a portfolio with the highest increases in implied volatility and selling a portfolio … with the highest decreases and rebalancing monthly, the average change in future CDS spreads is positive and statistically …

Persistent link: https://www.econbiz.de/10015432424

Measuring and explaining the CDS-bond basis term-structure shape and dynamics

Khanna, Yonas; Lucas, André; Seeger, Norman - 2025 - This version: May 26, 2025

The CDS-bond basis quantifies the difference in risk premia between credit default swap (CDS) and bond markets. It is …

Persistent link: https://www.econbiz.de/10015408438

Default clustering risk premium and its cross-market asset pricing implications

Byun, Kiwoong; Kim, Baeho; Oh, Dong Hwan - 2023

Persistent link: https://www.econbiz.de/10014377671

Credit variance risk premiums

Ammann, Manuel; Mörke, Mathis - In: European financial management : the journal of the … 29 (2023) 4, pp. 1304-1335

Persistent link: https://www.econbiz.de/10014369332